Basically it illustrates the difference in two styles of leadership, one driving the team, using force, prodding, intimidation, another leading from the behind, not too high profile, but motivating the team to do well.
The Cowboy here is the high profile leader, who leads from the front, seeks to project himself on to the team. His style is often authoritarian, in fact to the extent of pissing off his employees. He gets his people to do things, using a mix of intimidation, force, domination.
The Shepherd on the other hand is more low key, he believes in guiding the team, allowing them to work at their own pace, giving them more freedom. He does not believe in hand holding, he believes in letting the team members take their own decisions, and giving guidance where necessary. But at the same time, he ensures that ultimately individual interests are reconciled with team interests. You rarely see the sheep going out of line, under the shepherd's guidance.